Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0703
Annualized Std Dev 0.2159
Annualized Sharpe (Rf=0%) 0.3254

Row

Daily Return Statistics

Close
Observations 4199.0000
NAs 1.0000
Minimum -0.1102
Quartile 1 -0.0049
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0063
Maximum 0.1200
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0136
Skewness -0.4425
Kurtosis 11.2604

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0097
Loss Deviation 0.0113
Downside Deviation (MAR=210%) 0.0144
Downside Deviation (Rf=0%) 0.0098
Downside Deviation (0%) 0.0098
Maximum Drawdown 0.6648
Historical VaR (95%) -0.0193
Historical ES (95%) -0.0339
Modified VaR (95%) -0.0206
Modified ES (95%) -0.0387
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-04-29 -0.6648 1480 444 1036
2020-01-21 2020-03-23 2021-02-16 -0.4633 271 44 227
2018-01-29 2018-12-24 2019-12-31 -0.2147 485 229 256
2015-05-22 2016-01-25 2016-06-07 -0.1791 263 170 93
2014-09-02 2014-10-15 2014-12-23 -0.0982 80 32 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA 0 0.3 1.1 0.5 1 0.1 3.1
2005 0.8 0.7 -0.3 1.2 0.4 0.5 -0.1 0.6 0.4 0.5 1.3 -0.4 5.7
2006 0 0.7 -0.1 -0.1 0.8 0.1 -0.5 0.3 -0.5 -0.6 0 -0.6 -0.5
2007 0.9 -0.1 0 0.2 0.5 -0.9 0.4 1.2 1.4 -2.6 1 -0.6 1.4
2008 2.1 -3.1 3.9 2.3 -0.1 0.2 -0.3 -0.3 0.7 2.6 -9.4 2.5 0.5
2009 -3.9 -2.3 2.6 0.2 3.9 1.1 0.1 -2.8 -3.3 -3.7 1.6 -1.3 -7.8
2010 1.4 1.3 0.9 -1.5 -2.7 -1 0.3 3.1 0.2 -0.2 1.9 0 3.6
2011 1.8 -1.6 0.7 -0.2 -1.8 1.4 -0.6 -1.3 -1.7 -3.3 0.3 -0.1 -6.2
2012 1.8 0.4 0.6 0.5 -2.6 3.5 -0.4 0.6 0 1.5 0.2 1.7 8
2013 0.7 0.2 -1 -0.4 -1.2 1.2 1.8 -0.6 1 0.3 -0.3 0.5 2.3
2014 -0.5 0.3 0.7 0 0.2 0.5 -0.2 0.4 -1 1.1 -1 -1.3 -0.7
2015 -1.3 0 -0.4 1 0 0.5 0.1 -3 -0.4 0 0.6 -0.5 -3.3
2016 0.8 1.2 0 -0.3 0.3 0.6 -1 -0.6 0.7 -1.1 -0.1 -0.3 0.1
2017 0.1 1.4 0 0 1.1 0.3 0.1 0.8 0.1 0.1 0 -0.5 3.6
2018 -0.2 -0.6 1.3 -0.6 0.4 0 -1.1 0 -0.4 1.4 0.5 0.6 1.3
2019 -0.1 0.4 1.2 -0.7 -0.9 0.1 -1.7 0.4 -1.6 1.3 -0.9 0.5 -1.9
2020 -1.6 -4.3 -6.1 -4.1 1.6 -0.8 -1 -0.1 -0.1 -1.1 0.8 0.6 -15.2
2021 0.6 2.5 -0.1 NA NA NA NA NA NA NA NA NA 3.1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart